Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima

DOI10.1080/03610926.2019.1576900OpenAlexW2914684710WikidataQ128357951 ScholiaQ128357951MaRDI QIDQ5077209

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1576900

zbMATH Keywords

tail probability heavy-tailed distribution ruin probability subexponential distribution second order asymptotics randomly weighted sum

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics (62-XX) Sums of independent random variables; random walks (60G50)

Cites Work

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